1 Investor sentiment: Does it augment the performance of asset pricing models?
2 Mispricing and the five-factor model
3 Size, value, profitability, and investment: Evidence from emerging markets
4 Noisy prices and the Fama–French five-factor asset pricing model
5 Cross-sectional tests of the CAPM and Fama–French three-factor model
6 Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model
7 Monday effect in Fama–French’s RMW factor
8 Digesting anomalies in emerging markets: A comparison of factor pricing models
9 Q-theory, mispricing, and profitability premium
10 Limits of arbitrage and idiosyncratic volatility
11 Is size dead? A review of the size effect in equity returns
12 Market states and the risk-based explanation of the size premium
13 Market volatility and momentum
14 A risk-return explanation of the momentum-reversal “anomaly”
15 Time-varying risk, mispricing attributes, and the accrual premium
16 Bayesian tests of global factor models
17 Model comparison tests of linear factor models in stock returns
18 Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors
19 Idiosyncratic volatility in the Asian equity market
20 What global economic factors drive emerging Asian stock market returns?